New Issue: Citigroup prices $1.54 million five-year buffer securities linked to index basket

By Toni Weeks

San Luis Obispo, Calif., March 3 – Citigroup Inc. priced $1.54 million of 0% buffer securities due March 2, 2020 linked to a basket of four equally weighted indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The underlying components are the Hang Seng China Enterprises index, Hang Seng index, MSCI Taiwan index and Korea Stock Price Index 200.

The payout at maturity will be par plus 105% of any basket gain. Investors will receive par if the basket falls by up to 10% and will lose 1% for every 1% decline beyond 10%.

Citigroup Global Markets Inc. is the underwriter.

Issuer:	Citigroup Inc.
Issue:	Buffer securities
Underlying basket:	Hang Seng China Enterprises index, Hang Seng index, MSCI Taiwan index and Korea Stock Price Index 200, equally weighted
Amount:	$1,535,000
Maturity:	March 2, 2020
Coupon:	0%
Price:	Par
Payout at maturity:	If final basket level is greater than initial basket level, par plus 105% of basket return; par if basket declines by 10% or less; 1% loss for every 1% that basket declines beyond 10%
Initial levels:	12,227.75 for Hang Seng China, 24,902.06 for Hang Seng, 357.17 for MSCI Taiwan and 252.93 for Korea Stock Price
Pricing date:	Feb. 26
Settlement date:	March 3
Underwriter:	Citigroup Global Markets Inc.
Fees:	3%
Cusip:	1730T04R7

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